Optimal clearing margin, capital and price limits for futures clearinghouses
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 29 (2005)
Issue (Month): 7 (July)
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Web page: http://www.elsevier.com/locate/jbf
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ackert, Lucy F. & Hunter, William C., 1994. "Rational price limits in futures markets: tests of a simple optimizing model," Review of Financial Economics, Elsevier, vol. 4(1), pages 93-108.
- Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
- Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Gemmill, Gordon, 1994. "Margins and the safety of clearing houses," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 979-996, October.
- E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
- James T. Moser, 1992. "Determining margin for futures contracts: the role of private interests and the relevance of excess volatility," Economic Perspectives, Federal Reserve Bank of Chicago, issue Mar, pages 2-18.
- Hartzmark, Michael L, 1986. "The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance," The Journal of Business, University of Chicago Press, vol. 59(2), pages S147-80, April.
- Hans Dewachter & Geert Gielens, 1999. "Setting futures margins: the extremes approach," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 173-181.
- Reiffen, David & Buyuksahin, Bahattin, 2010. "The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?," MPRA Paper 35927, University Library of Munich, Germany.
- Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.
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